Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"Skewed-t"”.
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Mid Infrared Investigation of Two Isomers of the CO-N2O van der Waals Complex
… 2”). This van der Waals complex has a planar skewed T-shaped structure like that of the previously observed C-bonded form (“isomer 1”), but with the CO rotated by 180°. In addition to the fundamental band, combination bands for both isomers are observed and intermolecular frequencies for the …
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A post-crisis investigation in to the performance of GARCH-based historical & analytical value-at-risk on the FTSE
… generalised error, t-distribution and the skewed t-distribution. A particular question asked by this paper, is whether the data from the latest financial crisis (2007) should be used in estimating VaR in a post-crisis market. To investigate this, all models are re-estimated using data that …
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Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
… return distributions such as Hansen's (1994) skewed tdistribution combined with GARCH specifications can outperform mixed GARCH-jump models such as Maheu and McCurdy's (2004) GARJI model incorporating the autoregressive conditional jump intensity parameterization in the discrete-time …
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Essays on currency carry trade in Africa’s emerging and frontier markets
… trade returns is through the GARCH (1, 1) with skewed t distribution of the innovation. Finally, the implications of the African currency carry trade for the stock markets in Africa were found to be mixed. Thus African currency carry trade returns of twenty two currency pairs were found to …
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Investigating SARS-CoV-2 immune responses in children
… to HC but similar to non-MIS-C controls. The skewed T cell profile in children with MIS-C and non-MIS-C controls could be due to sustained systemic inflamma<on inducing T cell exhaus<on and/or superan<gen-like responses inducing polyclonal expansion of V21.3+ T cells to SARS-CoV-2 spike …